QTRADE · 回测报告

momentum_top10 · 生成 2026-07-04 09:14 · 数据水位 bars≤2026-07-03 · 研究工具输出，不构成投资建议

策略原理

中期动量：60 日后复权收益横截面最强的 10 只等权持有，周频轮动。股票池剔除 ST/上市<60 交易日/20 日均成交额<3000 万的票以保证可成交性。动量是 A 股长期有效的风格因子之一，但在风格急切换月份会显著回撤——此模板用于验证引擎，非投资建议。

绩效概览

区间2023-01-03 → 2026-07-03 (846 交易日)
期末净值0.2752
总收益-72.48%
年化收益-31.91%
年化波动+48.33%
夏普(rf=0)-0.66
最大回撤-84.46%
回撤区间2023-06-20 → 2025-04-25
卡玛比-0.38
平仓笔数718
胜率+47.77%
盈亏比(PF)0.69
总成交额51,318,591
总费用31,685
年化换手(单边)14.9
基准年化+12.12%
超额年化-44.04%
信息比率-0.94

净值与回撤

月度收益（%）

执行事件（涨跌停拒单/停牌/退市）

交易明细

共 1380 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2025-10-21 605255.SH buy 200 82.1230 16424.60 5.16 rebalance
2025-10-21 603301.SH buy 300 68.1020 20430.60 5.31 rebalance
2025-10-28 300539.SZ sell 500 49.5356 24767.79 18.82 rebalance -1742.57
2025-10-28 600629.SH sell 700 25.7313 18011.94 14.19 rebalance -2043.47
2025-10-28 603226.SH sell 600 43.4348 26060.85 19.81 rebalance 1608.11
2025-10-28 300475.SZ buy 100 125.2876 12528.76 5.13 rebalance
2025-10-28 688110.SH buy 216 105.6583 22822.18 5.94 rebalance
2025-11-04 688585.SH sell 303 101.6273 30793.08 23.41 rebalance 4386.56
2025-11-04 688110.SH sell 216 93.8290 20267.07 15.40 rebalance -2576.45
2025-11-04 002759.SZ buy 700 32.2984 22608.86 5.88 rebalance
2025-11-04 605178.SH buy 300 66.0990 19829.70 5.20 rebalance
2025-11-04 600021.SH buy 800 29.5443 23635.40 6.15 rebalance
2025-11-11 603516.SH sell 100 210.6835 21068.35 16.01 rebalance 6745.78
2025-11-11 600021.SH sell 800 28.2576 22606.04 17.18 rebalance -1052.69
2025-11-18 002759.SZ sell 100 45.2820 4528.20 7.31 rebalance 1290.21
2025-11-18 301292.SZ buy 300 74.1110 22233.30 5.78 rebalance
2025-11-25 605178.SH sell 300 62.8855 18865.66 14.62 rebalance -983.86
2025-11-25 000592.SZ buy 2500 9.6645 24161.19 6.28 rebalance
2025-11-25 603122.SH buy 1100 19.2288 21151.68 5.50 rebalance
2025-11-25 301292.SZ buy 100 58.0069 5800.69 5.06 rebalance
2025-12-02 603778.SH buy 2100 13.0195 27340.95 7.11 rebalance
2025-12-02 688353.SH buy 246 110.1650 27100.59 7.05 rebalance
2025-12-02 300390.SZ buy 100 55.2628 5526.28 5.06 rebalance
2025-12-09 002759.SZ sell 600 35.8462 21507.69 16.35 rebalance 2107.28
2025-12-09 603122.SH sell 100 27.3988 2739.88 6.40 rebalance 810.10
2025-12-09 688353.SH sell 246 101.3478 24931.55 18.95 rebalance -2195.04
2025-12-09 300390.SZ sell 100 50.8237 5082.36 7.59 rebalance -456.56
2025-12-09 300300.SZ buy 1400 17.6064 24648.92 6.41 rebalance
2025-12-16 603301.SH sell 300 66.2904 19887.12 15.14 rebalance -563.93
2025-12-16 300475.SZ sell 100 133.3497 13334.97 11.80 rebalance 792.20
2025-12-16 000592.SZ sell 700 14.3385 10036.92 10.12 rebalance 3259.91
2025-12-16 301232.SZ buy 200 116.9752 23395.04 6.08 rebalance
2025-12-16 300456.SZ buy 300 65.4180 19625.39 5.20 rebalance
2025-12-16 000547.SZ buy 1100 21.3119 23443.11 6.09 rebalance
2025-12-23 605255.SH sell 200 155.7660 31153.20 23.68 rebalance 14712.27
2025-12-23 300456.SZ sell 300 59.9000 17970.00 14.17 rebalance -1674.76
2025-12-23 600693.SH buy 1300 19.3590 25166.69 6.54 rebalance
2025-12-23 600343.SH buy 600 37.1957 22317.43 5.80 rebalance
2025-12-30 688109.SH sell 211 131.0232 27645.89 21.01 rebalance 3315.05
2025-12-30 603778.SH sell 300 17.1742 5152.26 7.63 rebalance 1237.76
2025-12-30 600343.SH sell 600 45.1921 27115.27 20.61 rebalance 4771.43
2025-12-30 605255.SH buy 100 208.3120 20831.20 5.42 rebalance
2025-12-30 300300.SZ buy 300 16.6850 5005.50 5.05 rebalance
2026-01-06 301292.SZ sell 400 71.0932 28437.28 21.61 rebalance 370.84
2026-01-06 000547.SZ sell 100 32.6010 3260.10 6.66 rebalance 1121.70
2026-01-06 002969.SZ buy 2100 13.7205 28813.15 7.49 rebalance
2026-01-06 603122.SH buy 200 23.3650 4673.00 5.05 rebalance
2026-01-06 600693.SH buy 300 18.4176 5525.28 5.06 rebalance
2026-01-06 600343.SH buy 600 44.5667 26740.05 6.96 rebalance
2026-01-13 603122.SH sell 1200 22.1168 26540.13 20.18 rebalance 2608.10
2026-01-13 603778.SH sell 400 25.6315 10252.60 10.23 rebalance 5033.21
2026-01-13 300300.SZ sell 1700 14.1388 24035.89 18.27 rebalance -5648.25
2026-01-13 000547.SZ sell 100 38.1327 3813.27 6.95 rebalance 1674.58
2026-01-13 600693.SH sell 1500 20.5891 30883.61 23.47 rebalance 2075.54
2026-01-13 600343.SH sell 600 48.0079 28804.73 21.89 rebalance 2035.83
2026-01-13 001331.SZ buy 500 56.9954 28497.68 7.40 rebalance
2026-01-13 688523.SH buy 360 84.6268 30465.63 7.92 rebalance
2026-01-13 002413.SZ buy 1600 20.2403 32384.50 8.42 rebalance
2026-01-20 000592.SZ sell 1800 10.6041 19087.33 14.73 rebalance 1672.02
2026-01-20 605255.SH sell 100 169.8648 16986.48 13.66 rebalance -3863.80
2026-01-20 002969.SZ sell 400 18.8916 7556.65 8.86 rebalance 2058.14
2026-01-20 688523.SH sell 360 66.0707 23785.47 18.08 rebalance -6706.16
2026-01-20 002413.SZ sell 1600 13.6295 21807.24 16.57 rebalance -10602.25
2026-01-20 301005.SZ buy 100 224.2559 22425.59 5.83 rebalance
2026-01-20 603929.SH buy 100 143.7353 14373.53 5.14 rebalance
2026-01-20 300342.SZ buy 400 57.6964 23078.57 6.00 rebalance
2026-01-27 000547.SZ sell 900 25.8711 23284.02 17.69 rebalance 4080.62
2026-01-27 300342.SZ sell 400 54.9175 21967.00 16.69 rebalance -1134.26
2026-01-27 000510.SZ buy 1400 19.4892 27284.87 7.09 rebalance
2026-01-27 603929.SH buy 100 137.9767 13797.67 5.14 rebalance
2026-01-27 300102.SZ buy 600 39.7095 23825.68 6.20 rebalance
2026-01-27 300986.SZ buy 600 42.2633 25357.98 6.59 rebalance
2026-02-03 603778.SH sell 1400 13.9690 19556.62 14.98 rebalance 1309.60
2026-02-03 002969.SZ sell 500 24.1138 12056.89 11.15 rebalance 5183.68
2026-02-03 603929.SH sell 200 149.7950 29958.99 22.77 rebalance 1754.75
2026-02-03 000510.SZ sell 1400 15.2870 21401.85 16.26 rebalance -5906.37
2026-02-03 002931.SZ buy 200 99.6493 19929.85 5.20 rebalance
2026-02-03 000547.SZ buy 900 29.5743 26616.87 6.92 rebalance
2026-02-03 002718.SZ buy 300 75.5131 22653.93 5.89 rebalance
2026-02-10 300102.SZ sell 600 41.0683 24640.98 18.73 rebalance 790.37
2026-02-10 002718.SZ sell 300 70.2445 21073.34 16.02 rebalance -1602.50
2026-02-10 300986.SZ buy 100 37.4261 3742.61 5.04 rebalance
2026-02-10 002149.SZ buy 500 54.3314 27165.69 7.06 rebalance
2026-02-10 603929.SH buy 100 153.2295 15322.95 5.15 rebalance
2026-02-25 002969.SZ sell 300 28.7568 8627.04 9.40 rebalance 4500.41
2026-02-25 301005.SZ sell 100 155.8059 15580.59 12.95 rebalance -6863.77
2026-02-25 300986.SZ sell 700 30.4343 21304.00 16.19 rebalance -7824.41
2026-02-25 000547.SZ sell 900 27.7184 24946.52 18.96 rebalance -1696.22
2026-02-25 002149.SZ sell 400 47.9779 19191.17 14.79 rebalance -2561.82
2026-02-25 603929.SH sell 100 144.7825 14478.25 12.38 rebalance -862.23
2026-02-25 002931.SZ buy 100 85.1275 8512.75 5.09 rebalance
2026-02-25 300749.SZ buy 700 36.0640 25244.81 6.56 rebalance
2026-02-25 002842.SZ buy 700 36.5547 25588.33 6.66 rebalance
2026-02-25 301486.SZ buy 100 233.9204 23392.04 6.08 rebalance
2026-02-25 601869.SH buy 100 240.3600 24036.00 6.25 rebalance
2026-02-25 603163.SH buy 100 132.1880 13218.80 5.13 rebalance
2026-03-03 300749.SZ sell 700 33.4198 23393.86 17.78 rebalance -1875.29
2026-03-03 002842.SZ sell 100 45.6514 4565.14 7.33 rebalance 901.39
2026-03-03 301486.SZ sell 100 200.8882 20088.82 15.26 rebalance -3324.55
2026-03-03 601869.SH sell 100 242.1562 24215.62 18.40 rebalance 154.97
2026-03-03 603163.SH sell 100 141.4176 14141.76 12.21 rebalance 905.62
2026-03-03 002969.SZ buy 200 22.5438 4508.75 5.05 rebalance
2026-03-03 002378.SZ buy 500 43.9158 21957.89 5.71 rebalance
2026-03-03 600397.SH buy 1200 21.5323 25838.70 6.72 rebalance
2026-03-03 002149.SZ buy 300 55.0825 16524.75 5.17 rebalance
2026-03-10 301232.SZ sell 200 189.7150 37943.00 28.84 rebalance 14513.04
2026-03-10 002149.SZ sell 400 48.3474 19338.95 14.86 rebalance -2640.38
2026-03-10 600397.SH sell 1200 20.2696 24323.46 18.48 rebalance -1540.44
2026-03-10 300164.SZ buy 1100 16.9354 18628.90 5.19 rebalance
2026-03-10 300749.SZ buy 700 34.8622 24403.55 6.34 rebalance
2026-03-10 002796.SZ buy 400 61.2918 24516.72 6.38 rebalance
2026-03-17 002969.SZ sell 200 27.9380 5587.61 7.85 rebalance 2513.30
2026-03-17 002378.SZ sell 500 36.0858 18042.90 14.20 rebalance -3934.90
2026-03-17 002796.SZ sell 400 57.4138 22965.50 17.45 rebalance -1575.05
2026-03-17 688308.SH buy 251 98.6478 24760.59 6.44 rebalance
2026-03-17 600722.SH buy 1300 17.3760 22588.83 5.88 rebalance
2026-03-24 002842.SZ sell 600 30.9535 18572.10 14.48 rebalance -3380.94
2026-03-24 688308.SH sell 251 75.8860 19047.39 14.71 rebalance -5734.35
2026-03-24 001896.SZ buy 1300 15.8137 20557.79 5.35 rebalance
2026-03-24 600759.SH buy 3200 6.4497 20638.91 5.37 rebalance
2026-03-24 603618.SH buy 1000 21.0315 21031.50 5.47 rebalance
2026-03-31 001331.SZ sell 400 54.8875 21955.02 16.69 rebalance -865.74
2026-03-31 300749.SZ sell 700 30.4543 21317.98 16.20 rebalance -3108.12
2026-03-31 600759.SH sell 3200 5.9111 18915.58 14.65 rebalance -1743.35
2026-03-31 300385.SZ buy 1100 19.8497 21834.70 5.68 rebalance
2026-03-31 688308.SH buy 238 89.7044 21349.64 5.55 rebalance
2026-03-31 300461.SZ buy 300 59.1386 17741.57 5.18 rebalance
2026-03-31 600396.SH buy 2800 7.5313 21087.58 5.48 rebalance
2026-04-08 001331.SZ sell 100 55.7163 5571.63 7.85 rebalance -137.24
2026-04-08 600722.SH sell 1300 13.8093 17952.03 14.16 rebalance -4656.84
2026-04-08 001896.SZ sell 1300 12.6809 16485.24 13.40 rebalance -4091.31
2026-04-08 603618.SH sell 200 26.9695 5393.90 7.75 rebalance 1178.75
2026-04-08 300385.SZ sell 1100 15.7663 17342.95 13.84 rebalance -4511.28
2026-04-08 000890.SZ buy 1200 15.8738 19048.53 5.19 rebalance
2026-04-08 301362.SZ buy 100 116.4644 11646.44 5.12 rebalance
2026-04-14 300164.SZ sell 1100 14.1887 15607.55 12.96 rebalance -3039.50
2026-04-14 600396.SH sell 2800 7.5886 21248.08 16.14 rebalance 138.88
2026-04-14 000890.SZ sell 1200 12.4813 14977.50 12.64 rebalance -4088.86
2026-04-14 301396.SZ buy 100 215.2925 21529.25 5.60 rebalance
2026-04-14 688309.SH buy 319 67.5512 21548.82 5.61 rebalance
2026-04-14 002980.SZ buy 300 59.6894 17906.82 5.18 rebalance
2026-04-21 002969.SZ sell 900 22.4663 20219.63 15.36 rebalance 6405.21
2026-04-21 603629.SH buy 200 104.1560 20831.20 5.42 rebalance
2026-04-21 001896.SZ buy 1200 18.8082 22569.80 5.87 rebalance
2026-04-28 002931.SZ sell 300 59.9100 17973.00 14.17 rebalance -10494.06
2026-04-28 688308.SH sell 238 88.9464 21169.24 16.08 rebalance -202.03
2026-04-28 300461.SZ sell 300 58.1127 17433.81 13.89 rebalance -326.83
2026-04-28 688309.SH sell 319 68.8865 21974.80 16.70 rebalance 403.66
2026-04-28 001896.SZ sell 1200 16.0659 19279.04 14.83 rebalance -3311.47
2026-04-28 301373.SZ buy 100 120.1900 12019.00 5.12 rebalance
2026-04-28 600396.SH buy 2200 10.1452 22319.43 5.80 rebalance
2026-04-28 003018.SZ buy 400 56.2943 22517.73 5.86 rebalance
2026-05-07 003018.SZ sell 400 49.6854 19874.14 15.14 rebalance -2664.58
2026-05-07 600683.SH buy 1500 15.2929 22939.36 5.96 rebalance
2026-05-07 603538.SH buy 300 69.1035 20731.05 5.39 rebalance
2026-05-07 000890.SZ buy 1500 16.2043 24306.41 6.32 rebalance
2026-05-12 301362.SZ sell 100 170.5438 17054.38 13.70 rebalance 5389.12
2026-05-12 600396.SH sell 300 13.9790 4193.70 7.14 rebalance 1142.21
2026-05-12 603538.SH sell 300 55.9360 16780.79 13.56 rebalance -3969.21
2026-05-12 000890.SZ sell 1500 13.5596 20339.44 15.45 rebalance -3988.73
2026-05-12 300209.SZ buy 1000 23.7456 23745.57 6.18 rebalance
2026-05-12 301511.SZ buy 200 92.1380 18427.60 5.18 rebalance
2026-05-19 603618.SH sell 800 37.2441 29795.24 22.65 rebalance 12943.01
2026-05-19 600683.SH sell 1500 16.6849 25027.40 19.02 rebalance 2063.07
2026-05-19 603115.SH buy 300 86.3694 25910.81 6.74 rebalance
2026-05-19 301373.SZ buy 100 119.2786 11927.86 5.12 rebalance
2026-05-19 603738.SH buy 400 53.9107 21564.30 5.61 rebalance
2026-05-26 603738.SH sell 400 49.1262 19650.48 15.03 rebalance -1934.46
2026-05-26 300868.SZ buy 200 120.2601 24052.02 6.25 rebalance
2026-06-02 301396.SZ sell 140 174.8274 24475.83 18.60 rebalance 2939.23
2026-06-02 002980.SZ sell 300 100.8485 30254.55 22.99 rebalance 12319.56
2026-06-02 301373.SZ sell 200 139.0311 27806.23 21.13 rebalance 3888.59
2026-06-02 600396.SH sell 400 18.4723 7388.90 8.76 rebalance 3321.01
2026-06-02 300868.SZ sell 200 104.4431 20888.62 15.87 rebalance -3185.52
2026-06-02 003036.SZ buy 300 68.3223 20496.70 5.32 rebalance
2026-06-02 600726.SH buy 2800 9.5143 26639.90 6.93 rebalance
2026-06-02 301319.SZ buy 200 106.1590 21231.80 5.52 rebalance
2026-06-09 603629.SH sell 200 159.7201 31944.01 24.28 rebalance 11083.11
2026-06-09 300209.SZ sell 1000 23.9640 23964.00 18.21 rebalance 194.05
2026-06-09 603115.SH sell 300 95.9059 28771.78 21.87 rebalance 2832.36
2026-06-09 600726.SH sell 2800 8.7868 24603.04 18.70 rebalance -2062.49
2026-06-09 603773.SH buy 100 137.2055 13720.55 5.14 rebalance
2026-06-09 002980.SZ buy 200 119.1785 23835.70 6.20 rebalance
2026-06-09 301188.SZ buy 500 53.0895 26544.76 6.91 rebalance
2026-06-09 002552.SZ buy 400 62.0930 24837.20 6.46 rebalance
2026-06-16 002980.SZ sell 200 114.2284 22845.68 17.36 rebalance -1013.58
2026-06-16 301188.SZ sell 500 58.2625 29131.24 22.14 rebalance 2557.43
2026-06-16 300489.SZ buy 100 209.8944 20989.44 5.46 rebalance
2026-06-16 301217.SZ buy 100 182.3732 18237.32 5.18 rebalance
2026-06-16 603773.SH buy 100 137.2055 13720.55 5.14 rebalance
2026-06-23 600396.SH sell 1500 16.0759 24113.78 18.33 rebalance 8873.70
2026-06-23 688260.SH buy 226 128.3923 29016.66 7.54 rebalance
2026-06-23 301188.SZ buy 400 68.1020 27240.80 7.08 rebalance
2026-06-30 301511.SZ sell 200 141.7471 28349.41 21.54 rebalance 9912.12
2026-06-30 003036.SZ sell 300 91.3328 27399.84 20.82 rebalance 6877.00
2026-06-30 002552.SZ sell 400 57.9130 23165.20 17.60 rebalance -1696.06
2026-06-30 688549.SH buy 759 36.0540 27364.99 7.11 rebalance
2026-06-30 000636.SZ buy 300 72.3484 21704.51 5.65 rebalance
2026-06-30 301526.SZ buy 600 47.4310 28458.62 7.39 rebalance
2026-06-30 688669.SH buy 293 100.1500 29343.95 7.63 rebalance

回测假设与参数

start2023-01-01
end2026-07-03
initial_cash1000000.0
slippage_bps15.0
volume_cap_pct2.0
commission_rate0.00025
commission_min5.0
min_trade_value5000.0
delist_haircut0.5
strict_one_word_limitFalse
benchmark000905.SH

执行假设：T 收盘出信号 → T+1 开盘成交（滑点 15.0bp， 单笔 ≤ 当日成交量 2.0%）；涨停不追买、跌停不杀卖、停牌顺延； T+1 由结构保证；费用按生效日期查表（佣金/印花税/过户费）； 除权以份额调整近似（现金分红视为按除权参考价再投资，未建红利税模型）。